Pages that link to "Item:Q5393915"

The following pages link to Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities (Q5393915):

Displaying 47 items.

• No-arbitrage semi-martingale restrictions for continuous-time volatility models subject to leverage effects, jumps and i.i.d. noise: theory and testable distributional implications (Q277161) (← links)
• Volatility puzzles: a simple framework for gauging return-volatility regressions (Q292008) (← links)
• Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes (Q292014) (← links)
• Out of sample forecasts of quadratic variation (Q299250) (← links)
• Predictive density estimators for daily volatility based on the use of realized measures (Q302179) (← links)
• Modelling and forecasting noisy realized volatility (Q429642) (← links)
• Does anything beat 5-minute RV? A comparison of realized measures across multiple asset classes (Q494402) (← links)
• Inference from high-frequency data: a subsampling approach (Q515131) (← links)
• Jump-robust volatility estimation using nearest neighbor truncation (Q527978) (← links)
• On loss functions and ranking forecasting performances of multivariate volatility models (Q528161) (← links)
• Large deviations of realized volatility (Q665439) (← links)
• A reduced form framework for modeling volatility of speculative prices based on realized variation measures (Q737275) (← links)
• Realized volatility forecasting and market microstructure noise (Q737278) (← links)
• Volatility forecast comparison using imperfect volatility proxies (Q737280) (← links)
• Variance dynamics: joint evidence from options and high-frequency returns (Q737284) (← links)
• A conditional extreme value volatility estimator based on high-frequency returns (Q959736) (← links)
• A GMM procedure for combining volatility forecasts (Q1023635) (← links)
• Forecasting realized volatility: a review (Q1622112) (← links)
• Asymptotic inference about predictive accuracy using high frequency data (Q1706485) (← links)
• Estimating the integrated volatility using high-frequency data with zero durations (Q1745612) (← links)
• Time-varying NoVaS versus GARCH: point prediction, volatility estimation and prediction intervals (Q2019875) (← links)
• Large deviation principles of realized Laplace transform of volatility (Q2116475) (← links)
• Modeling time-varying beta in a sustainable stock market with a three-regime threshold GARCH model (Q2288908) (← links)
• Asymptotic properties of the realized skewness and related statistics (Q2317879) (← links)
• Combining statistical intervals and market prices: the worst case state price distribution (Q2323381) (← links)
• The long and the short of the risk-return trade-off (Q2347734) (← links)
• A factor approach to realized volatility forecasting in the presence of finite jumps and cross-sectional correlation in pricing errors (Q2442401) (← links)
• Forecasting volatility under fractality, regime-switching, long memory and Student-\(t\) innovations (Q2445719) (← links)
• Efficient estimation of drift parameters in stochastic volatility models (Q2463719) (← links)
• The story of GARCH: a personal odyssey (Q2697967) (← links)
• Forecasting volatility in the presence of model instability (Q2810422) (← links)
• Fourier volatility forecasting with high-frequency data and microstructure noise (Q2893211) (← links)
• Realized Volatility: A Review (Q3539862) (← links)
• The Volatility of Realized Volatility (Q3539863) (← links)
• INFERENCE FOR THE JUMP PART OF QUADRATIC VARIATION OF ITÔ SEMIMARTINGALES (Q3557544) (← links)
• ESTIMATING THE PERSISTENCE AND THE AUTOCORRELATION FUNCTION OF A TIME SERIES THAT IS MEASURED WITH ERROR (Q4979934) (← links)
• Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors (Q5138047) (← links)
• Stock volatility predictability in bull and bear markets (Q5139219) (← links)
• A new financial risk ratio (Q5220902) (← links)
• Intraday Data vs Daily Data to Forecast Volatility in Financial Markets (Q5280128) (← links)
• Relative forecasting performance of volatility models: Monte Carlo evidence (Q5397468) (← links)
• Bias-corrected realized variance (Q5860901) (← links)
• IN-SAMPLE ASYMPTOTICS AND ACROSS-SAMPLE EFFICIENCY GAINS FOR HIGH FREQUENCY DATA STATISTICS (Q5880804) (← links)
• Exploiting the errors: a simple approach for improved volatility forecasting (Q5964747) (← links)
• Augmenting the realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects (Q6138236) (← links)
• Inference for Nonparametric High-Frequency Estimators with an Application to Time Variation in Betas (Q6149866) (← links)
• Realized Quantiles^* (Q6620952) (← links)